RBA Securitisations Industry Forum

This Notice provides updated and more detailed information on how the RBA's new reporting requirements for repo-eligible asset-backed securities will be implemented. It supersedes all previous guidance from the RBA on the specific issues dealt with herein. In particular, it should be noted that the RBA's Securitisations Industry Forum website https://www.rba.gov.au/securitisations/ has not yet been fully amended to reflect the contents of this Notice. This will be done as soon as practicable and notice will be provided when this has occurred.

The RBA values its ongoing dialogue with the industry, facilitated through the Australian Securitisation Forum (ASF) and the RBA's Securitisations Industry Forum website.

Reporting Frequency

All data for each securitisation must be provided to the RBA on a monthly basis, with the data to be provided no later than seven calendar days after the Trust issuer's specified coupon payment dates and the equivalent monthly anniversary in non-coupon-payment months. This instruction updates previous guidance that submissions must be received no later than seven calendar days after the Trust issuer's specified coupon payment dates.

Monthly reporting is required to allow the RBA to examine and model the performance of the collateral underlying securitisation transactions, which is necessary for the RBA to conduct risk analysis of securities.

There will be no routine requirement for data to be provided intra-month, but the RBA reserves the right to request ad hoc intra-month reporting.

Format for Data Submission to RBA

All data (loan level, security level, transaction level, pool level, cash flow waterfall model and related data) will be required to be submitted to the RBA in ‘eXtensible Markup Language’, or XML format and file type. The XML data schema will be released as soon as practicable; at the same time, the RBA plans to release a Microsoft Excel tool to assist information providers to produce the XML data files.

The Cash Flow Waterfall model itself remains Excel and Visual Basic based as per the Cash Flow Waterfall Template provided at https://www.rba.gov.au/publications/consultations/20130718/pdf/cash-flow-waterfall-template-for-repo-eligible-rmbs.pdf. There may be some final refinements to the model, but the key update at this point is that the model and its data will be submitted in XML format. Instructions will be provided on how to do this from the Excel model.

Testing Phase Update

The planned testing phase, during which information providers will be able to test lodgement of their securitisation data with the RBA, is expected to occur during September to November 2014. Participation in the planned testing phase is not compulsory but is strongly recommended as it will help the RBA to identify any issues ahead of the implementation date and make sure information providers' reporting meets the RBA's criteria. Some information providers may be approached to participate in the testing.

Further detail regarding testing arrangements will be provided to industry as it becomes available.

Further Guidance regarding Loan Level Data Reporting

Updated guidance on the data to be reported to meet the new eligibility criteria for securitisations is provided below. Further guidance will be provided as necessary, and as noted above, the XML data schema for submission will be provided as soon as practicable.  

Measurement of Arrears and Default

As a single standard for the reporting of arrears and defaults does not currently exist, and where it is not possible for information providers to comply with the previously published guidance notes, the RBA will permit information providers to use their internal methodologies for fields RL049, RL054 and RL055. However, information providers will need to clearly define the methodology and calculations used to calculate arrears in a glossary. Data fields RL056 and RL057 have been removed from the template.

Treatment of Loans Exiting the Pool

For loans that have exited the pool, information providers will be permitted to disclose a subset of information. For these loans, the data fields relating to basic loan level information should be reported (RL001, RL002, RL003, RL004, RL009, RL010, RL012, RL013, RL026, RL049, RL054 and RL055).

The account status field (RL049) has been updated to more accurately capture the reason for a repurchase of a loan. The field now distinguishes between loans repurchased by the seller, and loans repurchased for another purpose, such as a warranty or covenant repurchase. 

Property, Collateral and Borrower Descriptions

Information providers will be permitted to apply internal methods of calculation to certain property, collateral and borrower information fields:

• Information providers may select the relevant security to be reported for fields relating to property and collateral (RL062-064; RL066-RL071). The selection method of the reported security should be disclosed in a glossary (for example, the reported security may be designated according to lien seniority, a ranking of multiple securities may exist, or the loan purpose dictates the property purpose).
• Where cash deposits are used to secure a loan, this will be captured by a new ‘Cash’ flag in RL070.
• Income data fields (RL090 and RL092) are to be reported on a per borrower basis. However, where income for multiple borrowers is collected on a loan basis, the information provider should apportion the aggregated income figure across multiple borrowers. The method of calculation must be disclosed in a glossary.
• The characteristics of the primary borrower need only be supplied. Data fields relating to the following secondary borrower characteristics have therefore been removed:
  • RL075 Borrower Residency
  • RL077 Employment Type
  • RL079 Borrower Type
  • RL081 Legal Entity; and
  • RL087 Credit Score

These changes to the RMBS loan level template will also apply to the corresponding data fields in the CMBS loan level template.

Public Reporting

The RBA will permit information providers to redact two fields relating to debt serviceability (RL088, RL089) from the dataset available to permitted users. These fields may contain sensitive proprietary information and are not comparable across issuers. However, these fields will continue to be collected by the RBA.

For public reporting of pool level data at the postcode level, the methodology used to calculate property and collateral fields on a postcode level basis should be contained in a glossary and made available to permitted users by information providers. Information providers are permitted to report details for the main security only in the pool template.